Value and Momentum Everywhere
Clifford S. Asness, Tobias J. Moskowitz, and Lasse H. Pedersen
First Version: March 2008
This Version: June, 2009
We study jointly the ubiquitous returns to value and momentum across eight different
markets and asset classes and explore their common factor structure. We find that value
(momentum) in one asset class is significantly positively correlated with value
(momentum) in other asset classes, and value and momentum are significantly negatively
asset classes. Illiquidity risk is positively related to value and
negatively to momentum, and its importance increases over time, with a sharp shift
immediately following the liquidity crisis of 1998. All these findings emerge from the
power of examining value and momentum everywhere simultaneously and are not easily
detectable when examining each asset class in isolation.
Asness is at AQR Capital Management. Moskowitz is at the Booth School of Business, University of
Chicago and NBER. Pedersen is at the Stern School of Business, New York University, CEPR, and NBER.
We thank Aaron Brown, Gene Fama, Kenneth French, Robert Krail, Michael Mendelson, Stefan Nagel,
Lars Nielsen, Otto Van Hemert, and Jeff Wurgler for helpful comments, as well as seminar participants at
the University of Chicago, Princeton University, Duke University, the Danish Society of Financial Analysts
with Henrik Amilon and Asbjørn Trolle as discussants, and the NBER Summer Institute Asset Pricing
Meetings with Kent Daniel as a discussant.
We also thank Radhika Gupta, Kelvin Hu, Adam Klein, Ari
Levine, Len Lorilla, Wes McKinney, and Karthik Sridharan for research assistance.